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The Calculus of Retirement Income

The Calculus of Retirement Income
Financial Models for Pension Annuities and Life Insurance


  • Date Published: May 2006
  • availability: Available
  • format: Hardback
  • isbn: 9780521842587

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About the Authors
  • This 2006 book introduces and develops the basic actuarial models and underlying pricing of life-contingent pension annuities and life insurance from a unique financial perspective. The ideas and techniques are then applied to the real-world problem of generating sustainable retirement income towards the end of the human life-cycle. The role of lifetime income, longevity insurance, and systematic withdrawal plans are investigated in a parsimonious framework. The underlying technology and terminology of the book are based on continuous-time financial economics by merging analytic laws of mortality with the dynamics of equity markets and interest rates. Nonetheless, the book requires a minimal background in mathematics and emphasizes applications and examples more than proofs and theorems. It can serve as an ideal textbook for an applied course on wealth management and retirement planning in addition to being a reference for quantitatively-inclined financial planners.

    • Develops an accessible framework for retirement income planning
    • Contains extensive examples and real-world data illustrating how the ideas presented are applied in actual retirement planning
    • Can be used as a textbook or foundation for an advanced course on insurance or financial planning for academics
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    Reviews & endorsements

    'This very readable book is a landmark in the area of life insurance, pensions and long risk analysis. Integrating actuarial and financial approaches, the book provides an approach which is both theoretically elegant and practical in applications. It is highly recommended for both academics and those in industry.' Michael Orszag, Watson Wyatt

    'Millions of baby boomers turning 60 have suddenly awakened to the need to protect their retirement futures. The Calculus of Retirement Income is a useful tool for those devising sensible financial plans and helping manage wealth in the face of capital market and mortality risk. Witty, serious, and entertaining at the same time, the volume will be an invaluable resource for actuarial and financial students, practitioners, and researchers interested in actuarial and financial strategies to avoid ruin.' Olivia S. Mitchell, The Wharton School

    'This is a wonderful reference book for anyone interested in the quantitative modeling of pensions and retirement income. I plan to use it in the course in advanced topics in investing that I teach to MBAs at Boston University.' Zvi Bodie, Boston University

    'Almost everyone needs to plan for retirement. But investment planners and actuaries can rarely share their expertise. Moshe Milevsky mathematically puts it altogether, while still making his book accessible to students and quantitatively oriented professionals. Wonderful as a text or reference book!' Roger Ibbotson, Chairman of Ibbotson Associates and Yale University

    '… a book any serious financial advisor should read.' National Post (Toronto)

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    Product details

    • Date Published: May 2006
    • format: Hardback
    • isbn: 9780521842587
    • length: 336 pages
    • dimensions: 232 x 160 x 12 mm
    • weight: 0.57kg
    • contains: 93 tables
    • availability: Available
  • Table of Contents

    Part I. Models of Actuarial Finance:
    1. Introduction and motivation
    2. Modeling the human life-cycle
    3. Models of human mortality
    4. Valuation models of deterministic interest
    5. Models of risky financial investments
    6. Models of pension life annuities
    7. Models of life insurance
    8. Models of DB vs. DC pensions
    Part II. Wealth Management Applications and Implications:
    9. Sustainable spending at retirement
    10. Longevity insurance revisited
    Part III. Advanced Topics:
    11. Options within variable annuities
    12. The utility of annuitization
    13. Book conclusions

  • Resources for

    The Calculus of Retirement Income

    Moshe A. Milevsky

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  • Author

    Moshe A. Milevsky, York University, Toronto
    Moshe A. Milevsky is Associate Professor of Finance at the Schulich School of Buisness at York University and the Executive Director of the IFID Centre in Toronto, Canada. He was elected as a Fellow of the Fields Institute in 2002. Professor Milevsky is co-founding editor of the Journal of Pension Economics and Finance, published by Cambridge University Press, and has published more than thirty scholarly articles in addition to three books. His popular media writing received a National Magazine Award in Canada in 2004. He has lectured widely on the topic of retirement income planning, insurance and investments in North America, South America and Europe, and is a frequent guest on North American television and radio.

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